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Nonstandard-Settlement Transactions

Author

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  • JAMES J. ANGEL

    (Georgetown University School of Business)

Abstract

A small fraction of NYSE trades do not settle in three business days, the customary period for a "regular way" trade. Nonstandard- settlement trades settle at other times - usually on the same or next business day - and often are small market sell trades by individuals. The prices received in such cases tend to be below the prices expected from spot-forward arbitrage relationships. Some nonstandard-settlement trades, however, are extremely large dividend-capture trades. The time stamps and condition codes for these trades on the consolidated tape are not always accurate, which may bias studies of the price impact of large trades.

Suggested Citation

  • James J. Angel, "undated". "Nonstandard-Settlement Transactions," Working Papers _005, Georgetown School of Business.
    • Handle: RePEc:wop:gesbwp:_005
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    Cited by:

    1. Rösch, Dominik, 2021. "The impact of arbitrage on market liquidity," Journal of Financial Economics, Elsevier, vol. 142(1), pages 195-213.

    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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